"Following a religion" is an expression. It has some interesting variations in frequency of usage between religions, but there are definitely some other ways to say this.
It's important to remember that these different phrasings can carry subtle nuances, which is important with things like surveys. For this reason, I would suggest that you stay with the original wording, or rephrase the statement instead of rewording it completely.
But I will list some alternatives:
- Identify as religious
- Belong to a religion
- Claim they are religious
- Are affiliated with a religion
(You can probably find a whole lot more to list.)